Module I Financial derivatives an introduction Forward market and products
|
|
- Crystal McDonald
- 7 years ago
- Views:
Transcription
1 Module I 1. Financial derivatives an introduction 1.1 Derivative markets Past and present Difference between exchange traded and OTC derivatives 1.2 Derivative instruments Concept and definition Purpose and criticism Basics about forwards, futures, options and swaps 1.3 Hedgers, arbitrageurs and speculators 2. Forward market and products 2.1 Structure of Forward Market 2.2 Concept, characteristics and definition 2.3 Types of forward contracts Equity forward Currency forward Bond and interest rate forward Forward rate agreement 2.4 Valuation of forward 2.5 Generic valuation principles 2.6. Practical Concepts in Forward Market on Currencies What is forward premium in USD/INR History of forward premiums in India What moves forward premium in India Impact of forward premium on exchange rates Interlinkage of forward premium with call money money market and liquidity situation in country Do forward premiu m in USDINR indicate outlook on Interest Rate of country? Trading in forward premium Optimising Hedging decision based outlook on forward premium Future outlook of forward premium with impending US Rate hike and lower inflation and Interest Rate in India Does forward premium always reflect interest rate differentials? If not why? Difference between forward premiu m in OTC and Exchange Traded futures and Arbitrage in USDINR
2 2.7. Practical Concepts in Forward Rate Agreement (FRA) Liquidity in FRA market globally FRA contracts permitted by RBI Do Corporates in India and Globally use FRA s to hedge and why? Quoting convention of FRA s Bloomberg / Reuters Screenshot of FRA Markets and their interpretation 3. Future Market and products 3.1 Structure and role of global future market including leading future Exchanges 3.2 Concept, characteristics and definition 3.3 Types of future contracts Stock future Index future Currency future Interest rate future Commodity future 3.4 Valuation of future Generic valuation principles-cost of carry model Valuation of individual future product Trading mechanism and concept of margins (IM, MTM, MM) 3.5 Basis risk 3.5 Daily settlement price and Final settlement price 3.6 Practical Concepts in Futures Market How to detect probable trends in Futures Market using basis differential Open Interest and volume data of futures market How to detect probable trends using change in Open Interest and volume in Futures market How Index futures have evolved in India : NIFTY and BANK NIFTY Index Funds and management of Index by Global Hedge Funds Variety of Index in Indian Equity market and how to judge direction of single stock based on movement in sectroal index Bloomberg / Thomson Reuters chart showing Index movements Practical concept of Contango and Backwardation in Commodities Market and why they arise Bloomberg / Thomson Reuters chart and explanation of
3 Contango / Backwardation 3.7. Applications & Risk Management of Forwards & Features Regulatory Aspects & Reporting. Module II 4.Option market and products 4.1 Structure and Role of Global Option Market including OTC and leading Option Exchanges 4.2 Concept, characteristics and definition 4.3 Option terminologies Call option Put option American and European option Option writer and buyer Option premium including intrinsic value and time value Strike price ITM, ATM and OTM Option payoff 4.4 Trading mechanism and concept of margins 4.5 Types of options Stock option Index option Currency option Commodity option Options on futures Interest rate options 4.6 Put -Call Parity 4.7 Valuations of options Factors affecting option valuation Binomial model (portfolio replicating and risk neutral approach) BSOPM 4.8 Upper and lower limit of option prices 4.9 Exercising an option vs closing out 4.10 Option strategies (spreads, straddles and strangles) 4.11 Practical Concepts and Example of Options Market Strategies adopted by Indian / Global Corporates to hedge exposures through Options and best practices Practical Examples of
4 Range forward, Seagulls, Ratio forward, Forward extra, participating forward, Caps & Floors Spread Trades Calendar spreads and strike spreads Understanding of important components of Option pricing Delta : What is delta? Why option traders prefer to be delta neutral at inception? Why delta changes over the life of Options? What does delta trading imply when you are long an option and when are short the option? Gamma: What is gamma? How does Gamma impact delta of an option? Relationship of Gamma with strike, time to export Which Gamma position does option trader hate to have? Impact of event risk on gamma? Theta: What is theta What is Theta bleed? How does option trader avoid Theta bleed even if he is long an option? Impact of Theta bleed on your profit / loss? Vega: What is vega and Rho? What is long Vega and short Vega position? How do option trader decide to be long Vega or short Vega? Relationship of Vega and time to matu rity of option? What quoted and Traded in option market What is risk reversal and fly and how are they quoted in option market
5 How to derive volatility for any strike using at the money vol, fly and risk reversal How to identify future direction of market using fly and risk reversal How did fly and risk reversal behave during US sub prime crisis and how have they evolved Brief understanding of running of Option book by professional traders How options provide superior pay-off then options Directional strategies using Options Non directional strategies using Options Comment How one make money throu gh option even if the underlying is not moving much Using Options to hedge ECB, Buyers credit, current exposure and probable exposu re 5. Exotic option 5.1 Types of exotic option Bermuda option Forward start option Compound option Barrier option Chooser option Basket option Binary option Look back option Asian option 5.2 Hedging and pricing of exotic option 5.3 Practical Concepts and examples of Exotic Options Frequently executed Exotic Options by Hedge Funds Frequently executed Exotic Option by Corporates Use of compound Options and Forward start options in Mergers and Acquisitions Use of Basked Options by Hedge Funds and how they are superior to vanilla Options Why institutions do Binary / Digitial Options Combinations of Vanilla and Binary Options which are frequently executed by global corporate and funds Knockin Knockout Options Knockin Options European and American Knockout Options European and American
6 Double knockin Options Double Knockou t Options 5.4 Third Generation Options Target Redemption Forward ( TARF) Vanilla TARF Pivot TARF European knockin TARF Digital TARF 5.5 Exotic Structures Snowball Structure Wedding Cake structure Reverse Knockout Forwards Applications & Risk Management of Currency Options Regulatory Aspects & Reporting Option pricing bionominal, trinominal trees etc Option strategies black-sch oles and option based hedging strategies. Module III 6. Swaps 6.1 Concept, Characteristics, Definition and Pricing 6.2 Types of swaps Interest rate swap (IRS) Currency swap Equity swap Other types of swaps 6.3 Valuation of swap-overnight swap & commodity swap 6.4 Swaption 6.5 Credit risk and swap 6.6 Stragegies and Applications of Currency Swaps 6.7 Practical Concepts and examples of Swaps Interest Rate and Currency Swaps executed in India by Interbank and Corporates : OIS Swap MIFOR Swap INBMK Swap Full Currency Swaps Coupon only swap Hedging of Buyers Credit / ECB in India
7 6.7.2 RBI regulations governing FX and Interest Rate swap in India Reciprocal Swaps between Banks Carry Trade Concept of Carry Trade Practical example of carry trade executed pre 2008 crisis and post Advantage and Disadvantage of Carry Trades Indian Coporates experience with carry trades RBI regulations governing carry trades in India Caps, Floor and Collars to hedge interest rates Intutitive understanding of swap pricing Understanding components of swap in Indian market Deriving indicative swap pricing intuitively in one minute without any calculator : A must have skill for any treasury manager Unique characterstics of Indian swap market due to convertibility of our curren cy Concept of Natural Hedge and Dollarisation of balance sheet in India by corporate through swaps 6.8 Bloomberg / Thomson Reuters screenshort showing FX swap curve across the globe and India and correlation between swap curves 6.9 Concept of Particpatory Notes in Indian Equity / Debt segment and regulations governing them 6.10 Why Participatory Notes are so popular among FII s investing into India 7. Credit Derivatives 7.1 The basic concept 7.2 Role and structure of credit derivatives 7.3 Types of credit derivative CDS (credit default swap) TRS (total return swap) CSO (credit spread option) CLN (Credit link notes) CDO (collateralized debt obligations) 7.4 Practical Concepts and examples CDS Quoting conventions in real market Viewing CDS curve in Reuters/Bloomberg Understanding of change in CDS curve pre and post Global Financial crisis Deriving India s CDS curve
8 7.4.5 Use of CDS curve to determine Risk Weighted Assets under Basel III framework by Banks Indian Regulations on CDS India s experience with CDS and why the market for CDS in India is yet to takeoff Concept and example of CLN Use of CLN to reduce balance sheet risk by Banks under Basel III Practical examples of CLN and TRS Why CDO market was liquid pre Global Financial Crisis and what changed after that? ITRAXX Indices for trading credit 8. Other Derivatives 8.1 Weather derivatives 8.2 Energy derivatives 8.3 Insurance derivatives 9. Forward vs swap hedging fundamentals, netting vs hedging, hedging of net exposure Module IV 10. Taxation of derivative instruments 11. Learning from derivative mishaps 12. Derivatives Risk Management 12.1 Market Risk 12.2 Credit Risk 12.3 Liquidity Risk 12.4 Operational Risk 12.5 Enterprise Risk 12.6 VAR 13. Regulatory framework for derivatives 13.1 Indian Regulations governing derivatives 13.2 Sweeping reforms in Derivative market in US and it s global impact 14. International Swaps and Derivatives Association Master Agreement: 14.1 Role played by ISDA agreement during Global Financial crisis 14.2 Importance of ISDA after global financial crisis 14.3 Concept of Credit Support Annex and Global Collateral
9 15. Formulating the Dynamic Risk Management Policy by Corporates: 15.1 Identification and quantification of Exposure 15.2 Measuring the FX and Interest Rate Risk 15.3 Innovative Strategies for Risk reduction: 15.4 Change in commercial contracts 15.5 Establishing Benchmark / Budgeted Rate and how to outperform them 15.6 Determining Hedge Ratio throu gh Multi Factor Model and monthly evaluation Designing Hedge strategy 15.8 Establishing Controls in Company for managing risk
w w w.c a t l e y l a k e m a n.c o m 0 2 0 7 0 4 3 0 1 0 0
A ADR-Style: for a derivative on an underlying denominated in one currency, where the derivative is denominated in a different currency, payments are exchanged using a floating foreign-exchange rate. The
More informationExotic Options Trading
Exotic Options Trading Frans de Weert John Wiley & Sons, Ltd Preface Acknowledgements 1 Introduction 2 Conventional Options, Forwards and Greeks 2.1 Call and Put Options and Forwards 2.2 Pricing Calls
More informationCaput Derivatives: October 30, 2003
Caput Derivatives: October 30, 2003 Exam + Answers Total time: 2 hours and 30 minutes. Note 1: You are allowed to use books, course notes, and a calculator. Question 1. [20 points] Consider an investor
More informationThe new ACI Diploma. Unit 2 Fixed Income & Money Markets. Effective October 2014
The new ACI Diploma Unit 2 Fixed Income & Money Markets Effective October 2014 8 Rue du Mail, 75002 Paris - France T: +33 1 42975115 - F: +33 1 42975116 - www.aciforex.org The new ACI Diploma Objective
More informationINR Volatility - Hedging Options & Effective Strategies
INR Volatility - Hedging Options & Effective Strategies The purpose of the article is to draw attention on the recent volatility in Indian Rupee, various hedging options and effective hedging strategies.
More informationNISM-Series-I: Currency Derivatives Certification Examination (NISM-Series-I: CD Examination)
NISM-Series-I: Currency Derivatives Certification Examination (NISM-Series-I: CD Examination) Test Objectives [new syllabus effective 21 st February 2012] Unit 1: Introduction to Currency Markets 1.1 Brief
More informationOptions/1. Prof. Ian Giddy
Options/1 New York University Stern School of Business Options Prof. Ian Giddy New York University Options Puts and Calls Put-Call Parity Combinations and Trading Strategies Valuation Hedging Options2
More informationExotic options [April 4]
Exotic options [April 4] We ve looked at European and American Calls and Puts European options with general payoff functions From a theoretical point of view. This could be carried further, to more Exotic
More informationTest Objectives. NISM-Series-VIII: Equity Derivatives Certification Examination
Test Objectives Unit 1: Basics of Derivatives 1.1 Basics of Derivatives To explain the term derivatives 1.2 Derivatives Market History & Evolution To study the history of derivatives To explain the factors
More informationSUPER COMPUTER CONSULTING INC.
SUPER COMPUTER CONSULTING INC. 1070 Westfield Way, Mundelein, IL 60060 USA Phone: (847) 837-0200 Fax: (847) 837-0228 e-mail: info@supercc.com http://www.supercc.com EXOTIC OPTIONS Including Second Generation
More informationRisk Management and Governance Hedging with Derivatives. Prof. Hugues Pirotte
Risk Management and Governance Hedging with Derivatives Prof. Hugues Pirotte Several slides based on Risk Management and Financial Institutions, e, Chapter 6, Copyright John C. Hull 009 Why Manage Risks?
More informationSYLLABUS The ACI Dealing Certificate (Prometric Code: 3I0-008)
SYLLABUS The ACI Dealing Certificate (Prometric Code: 3I0-008) Examination delivered in ENGLISH and GERMAN The ACI Dealing Certificate is a foundation programme that allows candidates to acquire a working
More informationSwaps: complex structures
Swaps: complex structures Complex swap structures refer to non-standard swaps whose coupons, notional, accrual and calendar used for coupon determination and payments are tailored made to serve client
More informationVALUATION IN DERIVATIVES MARKETS
VALUATION IN DERIVATIVES MARKETS September 2005 Rawle Parris ABN AMRO Property Derivatives What is a Derivative? A contract that specifies the rights and obligations between two parties to receive or deliver
More informationOPTIONS. FINANCE TRAINER International Options / Page 1 of 38
OPTIONS 1. FX Options... 3 1.1 Terminology... 4 1.2 The Four Basic Positions... 5 1.3 Standard Options... 7 1.4 Exotic Options... 7 1.4.1 Asian Option (Average Rate Option, ARO)... 7 1.4.2 Compound Option...
More informationFundamentals of Futures and Options (a summary)
Fundamentals of Futures and Options (a summary) Roger G. Clarke, Harindra de Silva, CFA, and Steven Thorley, CFA Published 2013 by the Research Foundation of CFA Institute Summary prepared by Roger G.
More informationIntroduction to Equity Derivatives
Introduction to Equity Derivatives Aaron Brask + 44 (0)20 7773 5487 Internal use only Equity derivatives overview Products Clients Client strategies Barclays Capital 2 Equity derivatives products Equity
More informationReturn to Risk Limited website: www.risklimited.com. Overview of Options An Introduction
Return to Risk Limited website: www.risklimited.com Overview of Options An Introduction Options Definition The right, but not the obligation, to enter into a transaction [buy or sell] at a pre-agreed price,
More informationMarket and Exercise Price Relationships. Option Terminology. Options Trading. CHAPTER 15 Options Markets 15.1 THE OPTION CONTRACT
CHAPTER 15 Options Markets 15.1 THE OPTION CONTRACT Option Terminology Buy - Long Sell - Short Call the right to buy Put the the right to sell Key Elements Exercise or Strike Price Premium or Price of
More informationOPTIONS, FUTURES, & OTHER DERIVATI
Fifth Edition OPTIONS, FUTURES, & OTHER DERIVATI John C. Hull Maple Financial Group Professor of Derivatives and Risk Manage, Director, Bonham Center for Finance Joseph L. Rotinan School of Management
More informationFX Derivatives Terminology. Education Module: 5. Dated July 2002. FX Derivatives Terminology
Education Module: 5 Dated July 2002 Foreign Exchange Options Option Markets and Terminology A American Options American Options are options that are exercisable for early value at any time during the term
More informationThird Edition. Philippe Jorion GARP. WILEY John Wiley & Sons, Inc.
2008 AGI-Information Management Consultants May be used for personal purporses only or by libraries associated to dandelon.com network. Third Edition Philippe Jorion GARP WILEY John Wiley & Sons, Inc.
More informationUnderlier Filters Category Data Field Description
Price//Capitalization Market Capitalization The market price of an entire company, calculated by multiplying the number of shares outstanding by the price per share. Market Capitalization is not applicable
More informationCommodities. Product Categories
Commodities Material Economic Term Option Swaption Swap Basis Swap Index Swap Buyer Seller Premium Strike Price Premium Payment Date Resets Commodity Option Type (Call / Put) Commodity Option Style (European
More informationINTRODUCTION TO TRADING AND INVESTING IN FIXED INCOME SIMULATION TRAINING@THE DEALING ROOM
INTRODUCTION TO TRADING AND INVESTING IN FIXED INCOME SIMULATION TRAINING@THE DEALING ROOM Leading Excellence in Banking & Finance OUR PARTNERS CapitalWave provides truly dynamic educational simulation
More informationIntroduction. Part IV: Option Fundamentals. Derivatives & Risk Management. The Nature of Derivatives. Definitions. Options. Main themes Options
Derivatives & Risk Management Main themes Options option pricing (microstructure & investments) hedging & real options (corporate) This & next weeks lectures Introduction Part IV: Option Fundamentals»
More informationOPTIONS EDUCATION GLOBAL
OPTIONS EDUCATION GLOBAL TABLE OF CONTENTS Introduction What are FX Options? Trading 101 ITM, ATM and OTM Options Trading Strategies Glossary Contact Information 3 5 6 8 9 10 16 HIGH RISK WARNING: Before
More informationFinance 436 Futures and Options Review Notes for Final Exam. Chapter 9
Finance 436 Futures and Options Review Notes for Final Exam Chapter 9 1. Options: call options vs. put options, American options vs. European options 2. Characteristics: option premium, option type, underlying
More informationOPTION TRADING STRATEGIES IN INDIAN STOCK MARKET
OPTION TRADING STRATEGIES IN INDIAN STOCK MARKET Dr. Rashmi Rathi Assistant Professor Onkarmal Somani College of Commerce, Jodhpur ABSTRACT Options are important derivative securities trading all over
More informationPaper 2. Derivatives Investment Consultant Examination. Thailand Securities Institute November 2014
Derivatives Investment Consultant Examination Paper 2 Thailand Securities Institute November 2014 Copyright 2014, All right reserve Thailand Securities Institute (TSI) The Stock Exchange of Thailand Page
More informationInternational Master Economics and Finance
International Master Economics and Finance Mario Bellia bellia@unive.it Pricing Derivatives using Bloomberg Professional Service 03/2013 IRS Summary FRA Plain vanilla swap Amortizing swap Cap, Floor, Digital
More informationHandbook FXFlat FX Options
Handbook FXFlat FX Options FXFlat Trading FX Options When you open an FX options account at FXFlat, you can trade options on currency pairs 24- hours a day, 5.5 days per week. The FX options features in
More informationSwing Trade Warrior Chapter 1. Introduction to swing trading and how to understand and use options How does Swing Trading Work? The idea behind swing trading is to capitalize on short term moves of stocks
More informationJanuary to December 2015 Face-to-face classroom courses in London for the A.C.I. exams:
A.C.I. EXAM COURSES January to December 2015 Face-to-face classroom courses in London for the A.C.I. exams: A.C.I. Diploma A.C.I. Dealing Certificate A.C.I. Operations Certificate (All courses are also
More information24 th Year of Publication. A monthly publication from South Indian Bank. To kindle interest in economic affairs... To empower the student community...
Experience Next Generation Banking To kindle interest in economic affairs... To empower the student community... www.sib.co.in ho2099@sib.co.in A monthly publication from South Indian Bank 24 th Year of
More informationApplication of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma
Institute of Actuaries of India Application of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma 21 st IFS Seminar Indian Actuarial Profession Serving the
More informationACI Dealing Certificate
ACI Dealing Certificate Spencer Morris A.C.A. Spencer is Director of SMEducation, a company that designs and delivers financial products training across all assets classes. He was a full-time senior training
More informationUnderlying (S) The asset, which the option buyer has the right to buy or sell. Notation: S or S t = S(t)
INTRODUCTION TO OPTIONS Readings: Hull, Chapters 8, 9, and 10 Part I. Options Basics Options Lexicon Options Payoffs (Payoff diagrams) Calls and Puts as two halves of a forward contract: the Put-Call-Forward
More informationForeign Exchange Risk Management
Foreign Exchange Risk Management Perry D. Mehta Federal Reserve Bank of Richmond, Charlotte Office perry.mehta@rich.frb.org Seminar for Senior Bank Supervisors from Emerging Economies Washington, DC October,
More informationEQUITY LINKED NOTES: An Introduction to Principal Guaranteed Structures Abukar M Ali October 2002
EQUITY LINKED NOTES: An Introduction to Principal Guaranteed Structures Abukar M Ali October 2002 Introduction In this article we provide a succinct description of a commonly used investment instrument
More informationWHS FX options guide. Getting started with FX options. Predict the trend in currency markets or hedge your positions with FX options.
Getting started with FX options WHS FX options guide Predict the trend in currency markets or hedge your positions with FX options. Refine your trading style and your market outlook. Learn how FX options
More informationButterflies, Condors, and Jelly Rolls: Derivatives Explained
Butterflies, Condors, and Jelly Rolls: Derivatives Explained American Translators Association 47 th Annual Conference, New Orleans November 1, 2006 Ralf Lemster 1 Derivatives Explained What are derivatives?
More informationHedging Interest-Rate Risk: A Primer in Instruments. & Accounting. September 29, 2015. Presented by: Ruth Hardie
Hedging Interest-Rate Risk: A Primer in Instruments September 29, 2015 & Accounting Presented by: Ruth Hardie Hedge Trackers, LLC Integrated Derivative Management Interest Rate, Foreign Currency and Commodities
More informationFixed Income Arbitrage
Risk & Return Fixed Income Arbitrage: Nickels in Front of a Steamroller by Jefferson Duarte Francis A. Longstaff Fan Yu Fixed Income Arbitrage Broad set of market-neutral strategies intended to exploit
More informationDerivatives: Principles and Practice
Derivatives: Principles and Practice Rangarajan K. Sundaram Stern School of Business New York University New York, NY 10012 Sanjiv R. Das Leavey School of Business Santa Clara University Santa Clara, CA
More informationFinancial derivatives in Risk Management
Financial derivatives in Risk Management A practical introduction for the MSc class of the UvA Business School 1 Contents Risk categories related to financial derivatives Market risk Overview Risk Management
More informationThe market for exotic options
The market for exotic options Development of exotic products increased flexibility for risk transfer and hedging highly structured expression of expectation of asset price movements facilitation of trading
More informationManagers Directive AIFs. Issued :
Information page Alternative Investment Fund Managers Directive AIFMs managing leveraged AIFs Issued : 7t May 2013 Table of Contents 1. Introduction... 3 2. General provisions applicable to AIFs using
More informationAdvanced Derivatives:
Advanced Derivatives: (plain vanilla to Rainbows) advanced swaps Structured notes exotic options Finance 7523. Spring 1999 The Neeley School of Business at TCU Steven C. Mann, 1999. Equity Swaps Example:
More informationOptions Markets: Introduction
Options Markets: Introduction Chapter 20 Option Contracts call option = contract that gives the holder the right to purchase an asset at a specified price, on or before a certain date put option = contract
More informationLDintelligence Market Neutral Convertible Bond Arbitrage Fixed Income Hedge Strategy
LDintelligence Market Neutral Convertible Bond Arbitrage Fixed Income Hedge Strategy MARKET NEUTRAL CONVERTIBLE BOND ARBITRAGE Written by: Calamos Investments This paper is a briefing on LDintelligence
More informationCopyright 2009 by National Stock Exchange of India Ltd. (NSE) Exchange Plaza, Bandra Kurla Complex, Bandra (East), Mumbai 400 051 INDIA
Copyright 2009 by National Stock Exchange of India Ltd. (NSE) Exchange Plaza, Bandra Kurla Complex, Bandra (East), Mumbai 400 051 INDIA All content included in this book, such as text, graphics, logos,
More informationInternational Finance Prof. A. K. Misra Department of Management Indian Institute of Technology, Kharagpur
International Finance Prof. A. K. Misra Department of Management Indian Institute of Technology, Kharagpur Lecture - 7 Features of Foreign Exchange Market Good morning, today we will discuss features of
More informationOption Values. Option Valuation. Call Option Value before Expiration. Determinants of Call Option Values
Option Values Option Valuation Intrinsic value profit that could be made if the option was immediately exercised Call: stock price exercise price : S T X i i k i X S Put: exercise price stock price : X
More informationCertification Program on Corporate Treasury Management
Certification Program on Corporate Treasury Management Introduction to corporate treasury management Introduction to corporate treasury management: relevance, scope, approach and issues Understanding treasury
More informationIntroduction, Forwards and Futures
Introduction, Forwards and Futures Liuren Wu Zicklin School of Business, Baruch College Fall, 2007 (Hull chapters: 1,2,3,5) Liuren Wu Introduction, Forwards & Futures Option Pricing, Fall, 2007 1 / 35
More informationIntroduction to swaps
Introduction to swaps Steven C. Mann M.J. Neeley School of Business Texas Christian University incorporating ideas from Teaching interest rate and currency swaps" by Keith C. Brown (Texas-Austin) and Donald
More informationLearn. Commodity Options Trading & Risk Management ORM2. Commodity Derivatives Strategy
Learn Commodity Options Trading & Risk Management ORM2 2 days of intensive and comprehensive options/risk management training with practical analysis of option trading strategies and risk management with
More informationHedging FX Exposures: Which Strategy is Right for Your Business?
Hedging FX Exposures: Which Strategy is Right for Your Business? This article addresses foreign exchange (FX) risk, examines a large Swiss multinational company and the impact on its financial statements
More informationLearning Curve UNDERSTANDING DERIVATIVES
Learning Curve UNDERSTANDING DERIVATIVES Brian Eales London Metropolitan University YieldCurve.com 2004 Page 1 Understanding Derivatives Derivative instruments have been a feature of modern financial markets
More informationNOVEMBER 2010 VOLATILITY AS AN ASSET CLASS
NOVEMBER 2010 VOLATILITY AS AN ASSET CLASS 2/11 INTRODUCTION Volatility has become a key word of the recent financial crisis with realised volatilities of asset prices soaring and volatilities implied
More informationDERIVATIVES Presented by Sade Odunaiya Partner, Risk Management Alliance Consulting DERIVATIVES Introduction Forward Rate Agreements FRA Swaps Futures Options Summary INTRODUCTION Financial Market Participants
More informationOver the Counter Options Oracle FLEXCUBE Universal Banking Europe Cluster Release 11.3.81.02.0 [October] [2013] Oracle Part Number E51523-01
Over the Counter Options Oracle FLEXCUBE Universal Banking Europe Cluster Release 11.3.81.02.0 [October] [2013] Oracle Part Number E51523-01 0 Table of Contents Over the Counter Options 1. ABOUT THIS MANUAL...
More informationAccounting for Derivatives. Rajan Chari Senior Manager rchari@deloitte.com
Accounting for Derivatives Rajan Chari Senior Manager rchari@deloitte.com October 3, 2005 Derivative Instruments to be Discussed Futures Forwards Options Swaps Copyright 2004 Deloitte Development LLC.
More informationHow To Understand A Rates Transaction
International Swaps and Derivatives Association, Inc. Disclosure Annex for Interest Rate Transactions This Annex supplements and should be read in conjunction with the General Disclosure Statement. NOTHING
More informationHow To Know Market Risk
Chapter 6 Market Risk for Single Trading Positions Market risk is the risk that the market value of trading positions will be adversely influenced by changes in prices and/or interest rates. For banks,
More informationFINANCIAL ENGINEERING CLUB TRADING 201
FINANCIAL ENGINEERING CLUB TRADING 201 STOCK PRICING It s all about volatility Volatility is the measure of how much a stock moves The implied volatility (IV) of a stock represents a 1 standard deviation
More informationACI Dealing Certificate (3I0-012)
ACI Dealing Certificate (3I0-012) New Syllabus June 2013 8 Rue du Mail, 75002 Paris - France T: +33 1 42975115 - F: +33 1 42975116 - www.aciforex.org NEW SYLLABUS ACI Dealing Certificate (Prometric Code:
More informationb. June expiration: 95-23 = 95 + 23/32 % = 95.71875% or.9571875.9571875 X $100,000 = $95,718.75.
ANSWERS FOR FINANCIAL RISK MANAGEMENT A. 2-4 Value of T-bond Futures Contracts a. March expiration: The settle price is stated as a percentage of the face value of the bond with the final "27" being read
More informationAccounting. Advanced Hedging
Accounting Advanced Hedging under IFRS 9 Second Edition JUAN RAMIREZ WlLEY Table of Contents Preface xxi CHAPTER1 The Theoretical Framework - Recognition of Financial Instruments 1 1.1 Accounting Categories
More informationWrite clearly; the grade will also take into account the quality of the presentation and the clarity of the explanations
Name: Student-ID number: Write clearly; the grade will also take into account the quality of the presentation and the clarity of the explanations Question Points Score 1 29 2 17 3 19 4 2 5 2 6 1 Total:
More informationFinancial Markets elearning learn inform inspire
Financial Markets elearning learn inform inspire Release 29: 2013 Financial Markets Courses Introduction to Financial Markets Financial Markets - An Introduction Money Markets - An Introduction Foreign
More informationIntroduction to Options. Derivatives
Introduction to Options Econ 422: Investment, Capital & Finance University of Washington Summer 2010 August 18, 2010 Derivatives A derivative is a security whose payoff or value depends on (is derived
More informationCURRENCY FUTURES IN INDIA WITH SPECIAL REFERENCE TO CURRENCY FUTURES TRADED AT NSE
CURRENCY FUTURES IN INDIA WITH SPECIAL REFERENCE TO CURRENCY FUTURES TRADED AT NSE Vinayak R. Gramopadhye Assistant professor, ASM s Institute of International Business and Research, Pimpri, Pune-18 Abstract
More informationGlobal Equities and Commodity Derivatives. Structured Products. Handbook
Global Equities and Commodity Derivatives Structured Products Handbook G E N E R A L F O R E W O R D Contents Contents 1 Introduction What are Structured Products? 6 Why use Structured Products? 7 How
More informationProgram for Energy Trading, Derivatives and Risk Management by Kyos Energy Consulting, dr Cyriel de Jong Case studies
Program for Energy Trading, Derivatives and Risk Management by Kyos Energy Consulting, dr Cyriel de Jong Case studies We use cases throughout its course in various forms. The cases support the application
More informationRisk and return in Þxed income arbitrage: Nickels in front of a steamroller?
Risk and return in Þxed income arbitrage Université d Evry June 2005 1 Risk and return in Þxed income arbitrage: Nickels in front of a steamroller? Jefferson Duarte University of Washington Francis Longstaff
More informationDACT autumn diner workshop. Risk management, valuation and accounting
DACT autumn diner workshop Risk management, valuation and accounting Agenda 1. Risk management - mitigate risk Cost of hedging Risk mitigants Risk management policy 2. Valuation & accounting - mitigate
More informationCase study: Making the move into investment grade corporates
National Asset-Liability Management Europe Case study: Making the move into investment grade corporates Tomas Garbaravičius 3 March 2016 London Outline The reasoning behind the decision to corporate bonds
More informationHSBC India Global Markets overview PUBLIC
HSBC India Global Markets overview Part 1. Hedging FX and Rate Exposures FX and Rates Market Overview FX Spot and Forwards Very Liquid spot market estimated daily volume of USD 5 billion Over 15 active
More informationIFPAC 2008 Conference. Evaluating Structured Investment Products
IFPAC 2008 Conference Evaluating Structured Investment Products Contents Introduction Choice of Product Strategies Examining Some Popular Structured Products Determining the Right Product Understanding
More informationChapter 16: Financial Risk Management
Chapter 16: Financial Risk Management Introduction Overview of Financial Risk Management in Treasury Interest Rate Risk Foreign Exchange (FX) Risk Commodity Price Risk Managing Financial Risk The Benefits
More informationSummary of Interview Questions. 1. Does it matter if a company uses forwards, futures or other derivatives when hedging FX risk?
Summary of Interview Questions 1. Does it matter if a company uses forwards, futures or other derivatives when hedging FX risk? 2. Give me an example of how a company can use derivative instruments to
More informationBasel Committee on Banking Supervision
Basel Committee on Banking Supervision Basel III: The standardised approach for measuring counterparty credit risk exposures: Frequently asked questions August 2015 This publication is available on the
More informationGeneral Forex Glossary
General Forex Glossary A ADR American Depository Receipt Arbitrage The simultaneous buying and selling of a security at two different prices in two different markets, with the aim of creating profits without
More informationINTEREST RATES AND FX MODELS
INTEREST RATES AND FX MODELS 8. Portfolio greeks Andrew Lesniewski Courant Institute of Mathematical Sciences New York University New York March 27, 2013 2 Interest Rates & FX Models Contents 1 Introduction
More informationArbitrage spreads. Arbitrage spreads refer to standard option strategies like vanilla spreads to
Arbitrage spreads Arbitrage spreads refer to standard option strategies like vanilla spreads to lock up some arbitrage in case of mispricing of options. Although arbitrage used to exist in the early days
More informationTHETA AS AN ASSET CLASS By Dominik von Eynern, Swiss Alpha Asset Management GMBH
THETA AS AN ASSET CLASS By Dominik von Eynern, Swiss Alpha Asset Management GMBH It is essential to find new ways or asset classes to deliver consistent and uncorrelated returns within the asset management
More informationBLOOMBERG DERIVATIVE EXERCISES. 1. Select a stock of interest and identify the exchange-traded options traded on it.
BLOOMBERG DERIVATIVE EXERCISES OPTION CONCEPTS AND FUNDAMENTAL STRATEGIES 1. Select a stock of interest and identify the exchange-traded options traded on it. Example: Options on IBM Enter IBM [EQUITY]
More informationOverview. Option Basics. Options and Derivatives. Professor Lasse H. Pedersen. Option basics and option strategies
Options and Derivatives Professor Lasse H. Pedersen Prof. Lasse H. Pedersen 1 Overview Option basics and option strategies No-arbitrage bounds on option prices Binomial option pricing Black-Scholes-Merton
More information1. BGC Derivative Markets, L.P. Contract Specifications... 2 1.1 Product Descriptions... 2 1.1.1 Mandatorily Cleared CEA 2(h)(1) Products as of 2nd
1. BGC Derivative Markets, L.P. Contract Specifications............................................................... 2 1.1 Product Descriptions.....................................................................................
More informationAutumn Investor Seminar. Workshops. Managing Variable Annuity Risk
Autumn Investor Seminar Workshops Managing Variable Annuity Risk Jean-Christophe Menioux Kevin Byrne Denis Duverne Group CRO CIO AXA Equitable Chief Financial Officer Paris November 25, 2008 Cautionary
More informationDimensions Trading Lab. 2004. Sean Tseng. Trading Greeks. Greeks based trading strategies. Sean Tseng s presentation
Trading Greeks Greeks based trading strategies Position and Greeks position Delta Gamma Theta Vega Long + 0 0 0 Short - 0 0 0 Long call + (0 to 1) + - + Long put Short call - (-1 to 0) + - + - (0 to 1)
More informationCase Study: Double No Touch and Other FX Option Strategies for Low Volatility Markets
Case Study: Double No Touch and Other FX Option Strategies for Low Volatility Markets This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market
More informationInvestment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients
Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This
More informationCommercial paper collateralized by a pool of loans, leases, receivables, or structured credit products. Asset-backed commercial paper (ABCP)
GLOSSARY Asset-backed commercial paper (ABCP) Asset-backed security (ABS) Asset-backed securities index (ABX) Basel II Call (put) option Carry trade Collateralized debt obligation (CDO) Collateralized
More informationIntroduction to Equity Derivatives. February 2008 - The Derivatives Consulting Group Ltd www.dcgconsultants.com
Introduction to Equity Derivatives Course Agenda Part 1: Introduction to Equities The Basics Types of Stock Dividends Corporate Actions Underlyings Market Institutions Part 2: Introduction to Derivatives
More informationStandard Financial Instruments in Tatra banka, a.s. and the Risks Connected Therewith
Standard Financial Instruments in Tatra banka, a.s. and the Risks Connected Therewith 1. Shares Description of Shares Share means a security which gives to the holder of the share (share-holder) the right
More information(Part.1) FOUNDATIONS OF RISK MANAGEMENT
(Part.1) FOUNDATIONS OF RISK MANAGEMENT 1 : Risk Taking: A Corporate Governance Perspective Delineating Efficient Portfolios 2: The Standard Capital Asset Pricing Model 1 : Risk : A Helicopter View 2:
More information